Abstract
We cannot deny that the Vietnam economy has recently gained lots of achievements, especially in commercial banking industry from the year after crisis 2011 until the year 2015 with low CPI as of 0.6%. This paper measures the Beta CAPM in the traditional model under the impacts of both macro internal and external variables during this period. In recent years, the role of risk management in commercial banks has been increasing with new perspectives in management, corporate governance and risk management models. Hence, this research paper aims to figure out and make comparison on how much they affect the market risk of two big listed Vietnam commercial banks, VCB and STB, using semiannual data. Using synthesis statistical methods, and dialectical materialism method, combined with econometric model with 9 macro variables, we figure out that growth of CPI and GDP, lending rate and risk free rate (Rf) have substantial impacts on market risk while external factors such as exchange rate and SP500 just have small effects on beta CAPM. The policy implication is that the State Bank of Vietnam, the Ministry of Finance and agengies need to increase GDP growth and lower CPI growth, combined with the control of risk free rate and lending rate to reduce market risk.
Key words: market risk management, beta CAPM, low inflation, banking industry, Vietnam, policy.
JEL classification: M21, M1, G12, G30
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Ban biên tập Tạp chí Kinh tế & Quản trị Kinh doanh
Phòng 514, Nhà điều hành, trường Đại học Kinh tế & Quản trị Kinh doanh
Địa chỉ: Phường Tân Thịnh, thành phố Thái Nguyên
Email: tapchikt-qtkd@tueba.edu.vn; Điện thoại: 0208.3903373
